- Cover
- Series Page
- Title Page
- Copyright
- Dedication
- Preface
- Acknowledgments
- Chapter 1: Discount Rates and Returns
- Chapter 2: Fixed Income Securities
- Coupon-Bearing Bonds
- Infinite Cash Flow Streams (Perpetuities)
- General Pricing Formulas for Finite Cash Flow Streams
- Interest Rate Risk
- Analysis of Duration
- Interest Rate Risk Dynamics
- Immunization and Duration
- Applications—Liability Discounting and Cash Matching
- Pension Logic
- Risky Coupons
- Inflation Risk and TIPS
- A Bond Portfolio Strategy (Optional)
- Summary
- Appendix 2.1: Solving Infinite and Finite Power Series
- Reference
- Chapter 3: Term Structure
- Chapter 4: Equity
- Chapter 5: Portfolio Construction
- Chapter 6: Optimal Portfolios
- Portfolio 1: Minimum Variance Portfolio (Fully Invested)
- Portfolio 2: Minimum Variance Portfolios with Targeted Return
- Portfolio 3: Minimum Variance Portfolios with No Short Sales
- Portfolio 4: Minimum Variance Portfolios with Capped Allocations
- Portfolio 5: Maximum Risk-Adjusted Return
- Performance Attribution
- The Efficient Frontier (Again)
- Summary
- Appendix 6.1: Matrix Operations
- Chapter 7: Data and Applications
- Chapter 8: Anomalies
- Chapter 9: Factor Models
- Chapter 10: Active Portfolio Management
- Chapter 11: Risk
- Chapter 12: Monte Carlo Methods
- Chapter 13: Systemic Risk
- Chapter 14: Incorporating Subjective Views
- Chapter 15: Futures, Forwards, and Swaps
- Chapter 16: Introduction to Options
- Chapter 17: Models of Stock Price Dynamics
- Chapter 18: Hedging Portfolio Risk
- Chapter 19: Private Equity
- Chapter 20: Structured Credit
- Chapter 21: Optimal Rebalancing
- Chapter 22: Data Problems
- About the Author
- Index
-
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